C Options History — March 2008

In March 2008, C traded between $186.20 and $234.20. ATM implied volatility averaged 64.6%, placing in the 78.6% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 4.5% (HV 20d: 60.1%). Max pain ranged from $225.00 to $275.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.52.

Notable Days

  • 2008-03-04: Highest Volume — 105,835 contracts
  • 2008-03-17: Largest IV spike — 29.8% change
  • 2008-03-06: Highest IV Rank — 100.0%
  • 2008-03-17: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$213.84$186.20$234.20$230.90$214.20
Max Pain$237.50$225.00$275.00$275.00$225.00
ATM IV64.6%49.7%93.5%49.7%66.9%
Expected Move18.9%14.2%26.8%14.2%19.2%
HV 20d60.1%31.7%84.3%37.7%83.2%
HV 60d52.6%44.2%61.8%44.7%61.8%
IV Rank78.6%60.7%100.0%72.9%66.8%
IV Percentile96.7%86.1%100.0%88.1%97.6%
Term Structure-5.3%-19.3%7.4%6.4%-4.1%
VWIV67.2%49.5%88.2%49.5%71.4%
Skew 25d13.6%6.3%24.3%7.4%14.6%
Skew 10d27.9%12.5%50.3%12.5%31.7%
Call IV 25d60.8%47.6%79.8%47.6%65.5%
Put IV 25d74.3%55.1%104.1%55.1%80.1%
Bid-Ask Spread %3.381.486.321.482.65
Gamma HHI0.260.140.520.210.16
Net GEX-12.5M-21.8M28.2M-19.1M-10.1M
Net DEX2.20B1.27B2.70B2.56B1.78B
Net VEX-18.4M-21.3M-15.7M-18.8M-19.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.723.612.121.31
Total Volume37,338.0520,254105,83533,86120,254
Total OI506,958.25447,271561,190470,746490,984

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$230.90$275.0049.7%14.2%37.7%72.9%49.5%7.4%6.4%-19.1M2.56B-18.8M2.121.4810,85823,003239,487231,259
2008-03-04$221.00$275.0054.3%15.6%39.3%82.1%56.5%6.3%6.4%-18.3M2.53B-17.5M3.612.6822,97682,859244,407232,845
2008-03-05$221.50$275.0051.8%14.8%31.7%77.1%52.9%7.9%7.4%-20.2M2.53B-18.4M1.991.639,70019,344251,455247,713
2008-03-06$211.70$275.0064.7%18.5%34.0%100.0%62.1%8.9%2.8%-21.8M2.70B-17.5M1.352.029,08212,293254,316253,130
2008-03-07$209.10$250.0061.9%20.4%34.0%94.6%69.8%11.8%-11.6%-18.8M2.57B-17.4M1.213.6416,67620,153256,824248,484
2008-03-10$196.90$250.0068.1%22.1%37.8%100.0%78.0%12.4%-13.2%-17.8M2.69B-16.7M0.752.4314,78911,110262,974256,562
2008-03-11$214.90$225.0049.8%16.9%52.2%66.4%63.1%12.5%-5.7%-18.5M2.43B-18.1M3.023.3316,84950,969269,657256,150
2008-03-12$212.10$225.0059.6%17.5%51.4%84.4%59.8%10.0%-4.7%-17.5M2.32B-17.9M1.073.7418,45719,832272,422255,716
2008-03-13$210.70$225.0061.9%17.8%51.1%88.7%60.8%10.7%-6.2%-17.0M2.46B-17.7M1.074.0613,32214,302275,538256,435
2008-03-14$197.80$225.0072.0%20.6%54.3%100.0%76.4%15.5%-12.0%-14.6M2.50B-17.2M1.506.3215,17822,801281,285259,937
2008-03-17$186.20$225.0093.5%26.8%56.8%100.0%88.2%24.3%-19.3%-13.0M2.61B-15.7M2.942.6515,92046,870286,018263,066
2008-03-18$207.10$225.0070.3%20.2%71.4%71.1%76.8%21.3%-8.5%-12.5M2.47B-17.4M0.785.3920,23815,817289,102262,082
2008-03-19$204.10$225.0073.1%21.0%71.2%74.6%72.5%18.5%-10.3%-14.2M2.36B-17.9M0.864.6814,27612,336292,458264,347
2008-03-20$225.00$225.0066.2%19.0%80.8%65.9%71.2%16.7%-7.9%28.2M1.75B-20.1M0.954.3424,45823,301294,568266,622
2008-03-24$232.70$225.0066.2%19.0%82.0%66.0%64.8%18.2%-6.8%-7.1M1.32B-20.5M0.723.7916,91112,197212,283234,988
2008-03-25$234.20$225.0064.9%18.6%82.0%64.3%64.1%18.4%-6.3%-5.4M1.27B-21.3M1.103.5910,19711,227219,130238,285
2008-03-26$220.50$225.0062.0%17.8%84.3%60.7%66.1%10.4%-3.9%-10.3M1.60B-19.8M1.293.4612,40616,012219,687244,693
2008-03-27$217.90$225.0063.8%18.3%83.2%63.0%66.7%12.4%-3.9%-10.2M1.71B-19.7M1.633.169,30915,159224,729248,075
2008-03-28$208.30$225.0072.2%20.7%84.0%73.4%73.1%12.8%-3.9%-11.5M1.87B-18.7M1.062.6112,27313,047227,694253,758
2008-03-31$214.20$225.0066.9%19.2%83.2%66.8%71.4%14.6%-4.1%-10.1M1.78B-19.3M1.312.658,75711,497233,360257,624